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The U.S. Share of Trading Volume in Cross‐Listings: Evidence from Canadian Stocks

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  • Sanjiv Sabherwal

Abstract

I analyze the firm‐specific determinants of the U.S. share of trading volume for 126 U.S.‐listed Canadian firms. I find that the U.S. share of volume is directly related to the mass of informed and liquidity traders in the United States relative to Canada, as proxied by relative analyst following, relative duration of listing, and the U.S. share of sales. Evidence also supports the market liquidity argument that the market with lower spreads and greater depths has greater volume. Finally, the U.S. share is directly related to the relative sensitivity of the stock's value to information in the United States.

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  • Sanjiv Sabherwal, 2007. "The U.S. Share of Trading Volume in Cross‐Listings: Evidence from Canadian Stocks," The Financial Review, Eastern Finance Association, vol. 42(1), pages 23-51, February.
    • Handle: RePEc:bla:finrev:v:42:y:2007:i:1:p:23-51
    DOI: 10.1111/j.1540-6288.2007.00160.x
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    Cited by:

    1. Wendy Rotenberg, 2013. "Mitigation of U.S. Home Bias in the Valuation of Canadian Natural Resource Firms: Choice of Reporting and Transaction Currency," Multinational Finance Journal, Multinational Finance Journal, vol. 17(3-4), pages 201-241, September.

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